资产证券化风险研究

【作者】 王保岳；

【导师】 刘迎秋；

【作者基本信息】 中国社会科学院研究生院 ， 国民经济学， 2009， 博士

【摘要】 中国资产证券化发展正处于“雷声大、雨点少”的两难境地,导致这种情况的根本原因在于资产证券化风险控制问题没有得到圆满解决。由于资产证券化在中国的发展是一种必然,因此资产证券化风险研究有很强的理论和现实意义,值得我们认真思考。本文在前人研究成果的基础上,尝试性的把资产证券化风险研究分为传统和现代两种模式。传统资产证券化风险研究模式基于古典经济学理性经济人假设之上,以微观化、个体化研究为主,具有假定条件多样化和分析工具数理化的特点。随着金融创新的发展,传统资产证券化风险研究暴露出许多不足,美国次贷危机的爆发和恶化就是佐证。本文提出的现代资产证券化风险研究模式正是对传统研究的一种补充,它的研究内容主要包括评级风险、监管风险和道德风险,同时借鉴了制度经济学、行为经济学和金融生态学等学科的研究方法,把风险研究从纯技术层面提升到了制度层面,并融入了更多的中国元素,力图搭建适应中国未来经济发展的风险控制框架。本文的研究遵循了最简单的逻辑过程,即提出问题、分析问题、解决问题,然后运用多种方法进行阐述。首先,文章对资产证券化风险理论研究进行回顾,归纳出两种风险的研究模式及其表现形式,指出本文的研究侧重点是现代资产证券化风险(主要包括评级风险、监管风险和道德风险)。其次,结合中国情况,提炼出本文的研究重点,即中国资产证券化的评级风险、监管风险和道德风险,并论述了这三种风险在国内外的相似和不同之处。第三,从历史演进、经典金融风险理论、美国次贷危机演化等多角度详细剖析了中国资产证券化风险产生的原因和形成机制,认为在目前全球金融危机的背景下,中国现代资产证券化风险研究应该主要集中在评级制度建设、监管体制完善和道德风险控制等方面。第四,运用制度经济学的影响分析、变迁分析,行为经济学的心理分析等多种方法,对中国现代资产证券化风险(评级风险、监管风险、道德风险)进行多学科分析,并运用博弈模型解释了我国资产证券化风险政府监管的范围和强度,得出了两个重要结论:一是政府监管部门有效监管及其力度的临界点,是监管处罚等于资产证券化发行方不规范行为的收益所得。二是我国资产证券化风险监管制度变迁,是强制性变迁和诱致性变迁的对立统一,两种制度变迁方式在一定条件下可以相互转化,制度变迁的具体路径选择主要依赖于政府的干预强度。最后,针对中国资产证券化现状,提出了构建资产证券化风险预警机制和应急机制等对策建议。本文的创新之处表现在:第一,提出了一个新的资产证券化风险分析框架,把资产证券化风险研究分为传统模式和现代模式,并尝试归纳出两种研究模式的特征和区别。第二,系统分析了资产证券化风险发生的原因和形成机制,得出结论,即资产证券化风险形成的关键是短周期中基准利率的宽幅波动。第三,使用完全信息动态博弈模型,解释了我国资产证券化风险政府监管的范围和强度,得出政府监管部门有效监管力度的临界点,是监管处罚等于资产证券化发行方不规范行为的收益所得。第四,使用博弈树模型,解释了我国资产证券化风险监管制度变迁的强制性路径和诱致性路径,并得出结论,即制度变迁的具体路径选择主要依赖于政府的干预强度。更多还原

【Abstract】 The development of asset securitization in China is being in a dilemma called“the thunderclap are big, the raindrop are few”, which resulted of the basic reason that the risk control of asset securitization could not be obtained the satisfactory solution. Because the development of asset securitization in China is also one kind of necessity, the risk investigation of asset securitization has the very strong theoretical and practical significance and is worth to pondering earnestly for us.The risk investigation of asset securitization has been experimentally divided into two kinds of patterns which includs the traditional model and the modern one on the foundation of the predecessor in this thesis. The traditional risk investigation of asset securitization is based on the supposition of rational economic man in Classical Economics and on the study of microcosm and individuation primarily, has the characteristic of diversified hypothesis condition and the analysis with more mathematical tool. Along with the progress of financial innovation, the erupting and the worsening subprime-loan crisis in America is the evidence that the traditional risk investigation of asset securitization has been demonstrated having too many insufficiencies. The modern risk investigation of asset securitization proposed by this thesis should be as a kind of supplement to traditional one, which mainly includes the rating risk, the supervision risk and the moral hazard. And the same time it has profited the research techniques from the Institutional Economics, the Behavior Economics, the Financial Ecology and has promoted the risk investigation from the merely technical stratification to the systematical stratification. It has also integrated the more Chinese elements in order hard to build a new risk-controlling-frame adapting the Chinese future economy.This thesis has followed the simple logical process which includs proposing question, analysing question and solving it. Firstly, the thesis reviews the fundamental research of the asset securitization risk and induces two kinds of risk investigation pattern and the manifestation. It also points out that the research emphasis of this thesis is the modern asset securitization risk (mainly includes: rating risk, supervision risk and moral hazard). Secondly, in according to the Chinese situation, this thesis refines the research key which are the rating risk, the supervision risk and the moral hazard of asset securitization in China and elaborates the similar and the difference between domestic and foreign. Thirdly, the thesis analyzes the causes and mechanism of Chinese asset securitization risk from multiple perspectives including historical economic, classical theory of financial risk, the evolution of subprime-loan crisis in America and suggests that the modern risk investigation of asset securitization in China should mainly concentrate in constructing the rating system, building supervision aspects and controlling moral hazard under the present background of whole world financial crisis. Fourthly, this thesis has been carried on multi-disciplinary analyses for the modern risk of asset securitization in China by utilizing the impact analysis of the Institutional Economics, the vicissitude analysis, and the psycho-analysis of the Behavior Economics and so on. After using the gambling model, it proposed the scope and the intensity of government supervision of asset securitization risk in China. It is also obtained that the effective supervision point of government supervisory department is that the supervision punishment is equal to the income obtained of the asset securitization. The supervisory system vicissitude of asset securitization risk in China is a unification of opposites which including the compulsory system vicissitude and the causing system vicissitude that could be transformed mutually under the controlled condition. The path-choice of system vicissitude mainly relies on the interventing intensity from government. Finally, the thesis proposes that it is necessary to construct the early warning mechanism and the emergency mechanism and so on in view of the Chinese present condition.This thesis has some innovation. Firstly, it proposes a new analysis frame of asset securitization risk which divides the investigation of asset securitization risk into a traditional pattern and the modern one. Secondly, it analyzes the reason and forming mechanism of asset securitization risk, and draws a conclusion that the forming key of the asset securitization risk is the wide fluctuation of the interest rate in the short period. Thirdly, it proposes the scope and the intensity of government supervision of asset securitization risk in China by using the gambling model. It is also obtained that the effective supervision point of government supervisory department is that the supervision punishment is equal to the income obtained of the asset securitization. Fourthly, the supervisory system vicissitude of asset securitization risk in China is a unification of opposites which includs the compulsory system vicissitude and the causing system vicissitude. The path-choice of system vicissitude mainly relies on the interventing intensity from the government.更多还原